| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14430 |
| 来源ID | Working Paper 14430 |
| Are Structural VARs with Long-Run Restrictions Useful in Developing Business Cycle Theory? | |
| V. V. Chari; Patrick J. Kehoe; Ellen R. McGrattan | |
| 发表日期 | 2008-10-24 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | The central finding of the recent structural vector autoregression (SVAR) literature with a differenced specification of hours is that technology shocks lead to a fall in hours. Researchers have used this finding to argue that real business cycle models are unpromising. We subject this SVAR specification to a natural economic test by showing that when applied to data generated from a multiple-shock business cycle model, the procedure incorrectly concludes that the model could not have generated the data as long as demand shocks play a nontrivial role. We also test another popular specification, which uses the level of hours, and show that with nontrivial demand shocks, it cannot distinguish between real business cycle models and sticky price models. The crux of the problem for both SVAR specifications is that available data necessitate a VAR with a small number of lags and, when demand shocks play a nontrivial role, such a VAR is a poor approximation to the model's infinite order VAR. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Macroeconomic Models ; Consumption and Investment ; Business Cycles |
| URL | https://www.nber.org/papers/w14430 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572105 |
| 推荐引用方式 GB/T 7714 | V. V. Chari,Patrick J. Kehoe,Ellen R. McGrattan. Are Structural VARs with Long-Run Restrictions Useful in Developing Business Cycle Theory?. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14430.pdf（253KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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